Selecting Estimated Models Using Chi-Square Statistics

This paper proposes some tests for choosing between two estimated models using some Pearson type statistics. We allow for arbitrary ?n-asymptotically normal estimators to be used in forming these statistics. This provides some flexibility in practice. Then Large Sample theory and bootstrap methods are used to construct our tests.

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Year of publication:	1993
Authors:	VUONG, Quang ; WANG, Weiren
Published in:	Annales d'Economie et de Statistique. - École Nationale de la Statistique et de l'Admnistration Économique (ENSAE). - 1993, 30, p. 143-164
Publisher:	École Nationale de la Statistique et de l'Admnistration Économique (ENSAE)

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005065976